Exhibit 99.1
UNAUDITED as of 5/20/2005
| 
|
Bimini Mortgage Management, Inc. - Asset Information |
This Table Reflects All Transactions. Prices Used Have Been Internally Generated. |
Valuation
Asset Category | | Market Value | | As a Percentage of
Mortgage Assets | | As a Percentage of
Mortgage Assets, Cash
and P&I Receivable | |
Fixed Rate Mortgage Backed Securities | | $ | 741,583,035 | | 19.94 | % | 18.51 | % |
Fixed Rate CMO | | $ | 101,678,620 | | 2.73 | % | 2.54 | % |
Fixed Rate Agency Debt | | $ | 98,750,000 | | 2.66 | % | 2.47 | % |
CMO Floaters (Monthly Resetting) | | $ | 69,876,920 | | 1.88 | % | 1.74 | % |
Adjustable Rate Mortgage Backed Securities (1) | | $ | 1,929,175,991 | | 51.87 | % | 48.16 | % |
Hybrid Adjustable Rate Mortgage Backed Securities | | $ | 716,516,429 | | 19.27 | % | 17.89 | % |
Balloon Maturity Mortgage Backed Securities | | $ | 61,323,204 | | 1.65 | % | 1.53 | % |
Total: Mortgage Assets (2) | | $ | 3,718,904,199 | | 100.00 | % | | |
| | | | | | | |
Cash as of 5/20/2005 | | $ | 132,200,040 | | | | 3.30 | % |
P&I Receivables (Net of P&I Waiver Advance) | | $ | 50,912,645 | | | | 1.27 | % |
Cash out on Margin (Encumbered Cash) | | $ | 104,064,000 | | | | 2.60 | % |
Total: All Assets | | $ | 4,006,080,884 | | | | 100.00 | % |
(1) Adjustable Rate MBS are those that reset coupons within one year’s time.
(2) This includes Forward Settling Purchases.
Note: The Value of Securities in the Box is $1.05 million
Prepayment Speeds
Asset Category | | Weighted Average
One Month
Prepayment Speeds
(CPR) | | Weighted Average
Three Month
Prepayment Speeds
(CPR) | |
Fixed Rate Mortgage Backed Securities | | 25.22 | % | 27.48 | % |
Fixed Rate CMO | | 29.84 | % | 23.24 | % |
Fixed Rate Agency Debt | | n/a | | n/a | |
CMO Floaters | | 14.80 | % | 16.72 | % |
Adjustable Rate Mortgage Backed Securities | | 24.01 | % | 26.73 | % |
Hybrid Adjustable Rate Mortgage Backed Securities | | 25.79 | % | 25.08 | % |
Balloon Maturity Mortgage Backed Securities | | 19.23 | % | 22.07 | % |
Total: Mortgage Assets | | 24.45 | % | 26.17 | % |
On May 6, 2005 Prepayment Speeds were released for paydowns occurring in April 2005 (Feb-April for three month speeds). The numbers above reflect that data.
Portfolio Price and Duration
Weighted Average Purchase Price | | $ | 103.10 | |
Weighted Average Current Price | | $ | 102.48 | |
Modeled Effective Duration (as of 05/23/05) | | 0.785 | |
Characteristics
Asset Category | | Weighted Average
Coupon | | Weighted Average
Lifetime Cap | | Weighted Average
Periodic Cap
Per Year (3) | | Weighted Average
Coupon Reset
(in Months) | | Longest
Maturity | | Weighted Average
Maturity
(in Months) | |
Fixed Rate Mortgage Backed Securities | | 6.94 | % | n/a | | n/a | | n/a | | 1-Jun-35 | | 287 | |
Fixed Rate CMO | | 5.61 | % | n/a | | n/a | | n/a | | 25-Jul-34 | | 344 | |
Fixed Rate Agency Debt | | 4.00 | % | n/a | | n/a | | n/a | | 25-Feb-10 | | 57 | |
CMO Floaters (Monthly Resetting) | | 3.47 | % | 7.78 | % | n/a | | 0.43 | | 25-May-34 | | 328 | |
Adjustable Rate Mortgage Backed Securities (3) | | 4.11 | % | 10.69 | % | 1.55 | % | 4.18 | | 1-Dec-42 | | 340 | |
Hybrid Adjustable Rate Mortgage Backed Securities | | 4.41 | % | 10.03 | % | 1.39 | % | 24.20 | | 20-Jan-35 | | 344 | |
Balloon Maturity Mortgage Backed Securities | | 4.08 | % | n/a | | n/a | | n/a | | 1-Feb-11 | | 56 | |
Total: Mortgage Assets | | 4.76 | % | 10.44 | % | 1.49 | % | 9.36 | | 1-Dec-42 | | 318 | |
(3) 41.0% ($791.4 million) of The Adjustable Rate Mortgage Portfolio Have No Periodic Caps. These assets are excluded from the weighted average periodic cap per year calculation
Agency | | Market Value | | As a Percentage of
Mortgage Assets | |
Fannie Mae | | $ | 2,357,153,185 | | 63.38 | % |
Freddie Mac | | $ | 722,714,034 | | 19.43 | % |
Ginnie Mae | | $ | 639,036,980 | | 17.18 | % |
Total Portfolio | | $ | 3,718,904,199 | | 100.00 | % |
Pool Status | | Market Value | | As a Percentage of
Mortgage Assets | |
Whole Pool | | $ | 2,146,617,744 | | 57.72 | % |
Non Whole Pool | | $ | 1,572,286,455 | | 42.28 | % |
| | | | | |
Total Portfolio | | $ | 3,718,904,199 | | 100.00 | % |
| | Internally
Generated Market
Value | | % of Asset
Class | | % of Total Mortgage
Assets | |
| | | | | | | |
Adjustable Rate Mortgages | | | | | | | |
One Month Libor | | $ | 48,651,528 | | 2.52 | % | 1.31 | % |
Moving Treasury Average | | $ | 80,811,482 | | 4.19 | % | 2.17 | % |
Cost Of Funds Index | | $ | 455,091,627 | | 23.59 | % | 12.24 | % |
Six Month LIBOR | | $ | 300,466,874 | | 15.57 | % | 8.08 | % |
Six Month CD Rate | | $ | 3,871,679 | | 0.20 | % | 0.10 | % |
One Year LIBOR | | $ | 217,931,755 | | 11.30 | % | 5.86 | % |
Conventional One Year CMT | | $ | 475,878,132 | | 24.67 | % | 12.80 | % |
FHA and VA One Year CMT | | $ | 339,627,862 | | 17.60 | % | 9.13 | % |
Other | | $ | 6,845,052 | | 0.35 | % | 0.18 | % |
Total ARMs | | $ | 1,929,175,991 | | 100.00 | % | 51.87 | % |
| | | | | | | |
CMO Floaters (Monthly Resetting) | | | | | | | |
Short Stable | | $ | 32,816,828 | | 46.96 | % | 0.88 | % |
Pass-Through | | $ | 37,060,092 | | 53.04 | % | 1.00 | % |
Locked Out | | $ | 0 | | 0.00 | % | 0.00 | % |
Total CMOs | | $ | 69,876,920 | | 100.00 | % | 1.88 | % |
| | | | | | | |
Hybrid ARMs | | | | | | | |
Generic Fannie or Freddie Hybrid ARMs | | | | | | | |
13 - 18 Months to First Reset | | $ | 193,548,195 | | 27.01 | % | 5.20 | % |
19 - 24 Months to First Reset | | $ | 168,652,949 | | 23.54 | % | 4.54 | % |
25 - 36 Months to First Reset | | $ | 28,281,505 | | 3.95 | % | 0.76 | % |
37 - 38 Months to First Reset | | $ | 11,234,411 | | 1.57 | % | 0.30 | % |
Total | | $ | 401,717,059 | | 56.07 | % | 10.80 | % |
Agency Alt-A Hybrid ARMs | | | | | | | |
13 - 18 Months to First Reset | | $ | 7,907,323 | | 1.10 | % | 0.21 | % |
19 - 24 Months to First Reset | | $ | 26,861,768 | | 3.75 | % | 0.72 | % |
25 - 36 Months to First Reset | | $ | 23,571,127 | | 3.29 | % | 0.63 | % |
37 - 50 Months to First Reset | | $ | 15,442,441 | | 2.16 | % | 0.42 | % |
Total | | $ | 73,782,659 | | 10.30 | % | 1.98 | % |
| | | | | | | |
GNMA Hybrid ARMs | | | | | | | |
13 - 24 Months to First Reset | | $ | 0 | | 0.00 | % | 0.00 | % |
25 - 36 Months to First Reset | | $ | 241,016,711 | | 33.64 | % | 6.48 | % |
Total | | $ | 241,016,711 | | 33.64 | % | 6.48 | % |
Total Hybrid ARMs | | $ | 716,516,429 | | 100.00 | % | 19.27 | % |
Balloons | | | | | | | |
< = 4.5 Years to Balloon Date | | $ | 12,404,257 | | 20.23 | % | 0.33 | % |
4.6 - 5.5 Years to Balloon Date | | $ | 33,033,293 | | 53.87 | % | 0.89 | % |
5.6 - 6.0 Years to Balloon Date | | $ | 15,885,654 | | 25.90 | % | 0.43 | % |
Total Balloons | | $ | 61,323,204 | | 100.00 | % | 1.65 | % |
Fixed Rate Agency Debt
5yr Stated Final Maturity | | $ | 98,750,000 | | 100.00 | % | 2.66 | % |
Total Fixed Rate Agency Debt | | $ | 98,750,000 | | 100.00 | % | 2.66 | % |
Fixed Rate Assets
Fixed Rate CMO | | $ | 101,678,620 | | 12.06 | % | 2.73 | % |
10yr Other (Seasoned, Low Avg Bal, Low FICO, etc..) | | $ | 2,602,931 | | 0.31 | % | 0.07 | % |
15year $85,000 Maximum Loan Size | | $ | 87,560,636 | | 10.38 | % | 2.35 | % |
15year $110,000 Maximum Loan Size | | $ | 5,742,706 | | 0.68 | % | 0.15 | % |
15yr 100% Investor Property | | $ | 919,247 | | 0.11 | % | 0.02 | % |
15yr 100% FNMA Expanded Approval Level 3 | | $ | 1,971,962 | | 0.23 | % | 0.05 | % |
15yr 100% Alt-A | | $ | 49,777,721 | | 5.90 | % | 1.34 | % |
15yr Geography Specific (NY, FL, VT, TX) | | $ | 544,586 | | 0.06 | % | 0.01 | % |
15yr Other (Seasoned, Low Avg Bal, Low FICO, etc..) | | $ | 35,052,368 | | 4.16 | % | 0.94 | % |
20yr Other (Seasoned, Low Avg Bal, Low FICO, etc..) | | $ | 1,406,088 | | 0.17 | % | 0.04 | % |
20yr 100% Alt-A | | $ | 1,718,464 | | 0.20 | % | 0.05 | % |
30year $85,000 Maximum Loan Size | | $ | 180,394,974 | | 21.39 | % | 4.85 | % |
30year $110,000 Maximum Loan Size | | $ | 50,354,606 | | 5.97 | % | 1.35 | % |
30yr 100% Investor Property | | $ | 9,659,588 | | 1.15 | % | 0.26 | % |
30yr 100% FNMA Expanded Approval Level 3 | | $ | 84,935,203 | | 10.07 | % | 2.28 | % |
30yr 100% Alt-A | | $ | 70,506,818 | | 8.36 | % | 1.90 | % |
30yr Geography Specific (NY, FL, VT, TX) | | $ | 6,109,010 | | 0.72 | % | 0.16 | % |
30yr 100% GNMA Builder Buydown Program | | $ | 10,668,533 | | 1.27 | % | 0.29 | % |
30yr Other (Seasoned, Low Avg Bal, Low FICO, etc..) | | $ | 141,657,594 | | 16.80 | % | 3.81 | % |
Total Fixed Rate Collateral | | $ | 843,261,655 | | 100.00 | % | 22.68 | % |
| | | | | | | |
Total (All Mortgage Assets) | | $ | 3,718,904,199 | | | | 100.00 | % |
Cash or Cash Receivables | | $ | 287,176,685 | | | | | |
Total Assets and Cash | | $ | 4,006,080,884 | | | | | |
Total Forward Settling Purchases | | $ | 463,058,748 | | | | 12.45 | % |
Unaudited Funding Information as of 5/20/2005
Repurchase Counterparties | | Dollar Amount of
Borrowings | | Weighted Average
Maturity in Days | | Longest
Maturity | |
| | | | | | | |
Deutsche Bank | | $ | 880,613,318 | | 254 | | 31-May-06 | |
Nomura | | $ | 537,208,000 | | 142 | | 1-May-06 | |
WAMU | | $ | 305,740,000 | | 29 | | 26-Aug-05 | |
Cantor Fitzgerald | | $ | 246,086,140 | | 122 | | 1-Dec-05 | |
Bear Stearns | | $ | 218,834,000 | | 83 | | 3-Oct-05 | |
Goldman Sachs | | $ | 199,835,069 | | 61 | | 15-Sep-05 | |
Countrywide Securities | | $ | 177,152,000 | | 20 | | 29-Jul-05 | |
Bank of America | | $ | 159,813,000 | | 87 | | 23-Sep-05 | |
Merrill Lynch | | $ | 97,196,000 | | 56 | | 22-Jul-05 | |
UBS Securities | | $ | 90,201,000 | | 57 | | 1-Aug-05 | |
Citigroup | | $ | 84,804,000 | | 5 | | 25-May-05 | |
JP Morgan Securities | | $ | 84,548,000 | | 48 | | 29-Aug-05 | |
Lehman Brothers | | $ | 57,982,000 | | 154 | | 21-Oct-05 | |
Daiwa Securities | | $ | 57,062,000 | | 62 | | 17-Jan-06 | |
REFCO | | $ | 52,376,000 | | 24 | | 15-Jun-05 | |
| | | | | | | |
Total | | $ | 3,249,450,526 | | 128 | | 31-May-06 | |
| | | | | | | |
Total Forward Settling Purchases | | 463,058,748 | | | | | |
| | | | | | | |
Estimated Haircut (at 3%) | | 13,891,762 | | | | | |
Estimated Forward Borrowings | | 449,166,985 | | | | | |
Asset Class | | Weighted Average
Maturity in Days | | Longest Maturity | |
| | | | | |
Fixed Rate MBS | | 94 | | 27-May-06 | |
Fixed Rate CMO | | 118 | | 15-Sep-05 | |
Fixed Rate Agency Debt | | 119 | | 16-Sep-05 | |
CMO Floaters (Monthly Resetting) | | 12 | | 15-Jun-05 | |
Adjustable Rate MBS | | 149 | | 31-May-06 | |
Hybrid Adjustable Rate MBS | | 121 | | 25-May-06 | |
Balloon Maturity MBS | | 61 | | 27-Sep-05 | |
| | 128 | | 31-May-06 | |
